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The Heat Equation and Reflected Brownian Motion in Time-Dependent Domains
(Institute of Mathematical Statistics, 2004-01)
The paper is concerned with reflecting Brownian motion (RBM) in domains with deterministic moving boundaries, also known as "non-cylindrical domains," and its connections with partial differential equations. Construction is given for reflecting Brownian motion in C3-smooth time-dependent domains in the n-dimensional Euclidean ...